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Guido Gazzani

University of Verona - Department of Economics

  • University of Verona - Department of Economics

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Pricing and Calibration in the 4-Factor Path-Dependent Volatility Model

Number of pages: 32 Posted: 03 Jul 2024 Last Revised: 22 Feb 2025
Guido Gazzani and Julien Guyon
University of Verona - Department of Economics and Ecole Nationale des Ponts et Chaussées (ENPC)
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Abstract:

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path-dependent volatility, calibration of financial models, neural networks, S&P 500/VIX joint calibration